Application of fuzzy measures and interval computation to financial portfolio selection

Document Type

Article

Department or Administrative Unit

Computer Science

Publication Date

3-24-2010

Abstract

As many data‐driven fields, finance is rich in problems requiring high computational power and intelligent systems techniques. In particular, the problem of selecting an optimal financial portfolio can be conveniently represented as a constrained optimization problem or a decision‐making problem. The aim of this paper is to show how to express the optimal portfolio selection problem from a decision‐theoretic perspective and show how to address this problem using fuzzy measures and fuzzy integrals.

Comments

This article was originally published in International Journal of Intelligent Systems. The full-text article from the publisher can be found here.

Due to copyright restrictions, this article is not available for free download from ScholarWorks @ CWU.

Journal

International Journal of Intelligent Systems

Rights

© 2010 Wiley Periodicals, Inc.

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